Enhancing Bank Value-at-Risk (VaR) Pricing Model

Use Case
The bank’s VAR pricing model was taking too long to run. 

Existing Process
The complex VAR model ran on an expensive grid, would take 50+ hours to run and could only run once per week.

Our Approach
Run the VAR model on the ZettaInsights platform, reducing model run time to just 45 minutes, and re-pricing 3 times per day. 

Benefit
ZettaInsights improved decision-making on capital allocation. A 4-5 bps improvement led to $37 million in risk capital being freed up for investment. The client saw an 80% reduction in total operational cost, resulting in $5 million in annual savings.